The Equity Risk Premium: An Options-based Approach

Alan Lewis presents Options-Based Asset Pricing (OBAP), a framework that extracts forward-looking equity risk premia from option-implied probabilities using exponential tilt. Adapted from his new book, The Equity Risk Premium: An Options-based Approach (Lewis, 2026).

Authors

Publication Details

Journal
Wilmott
Published
2026-10-31
DOI
https://doi.org/10.54946/wilm.12274
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
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article

The Equity Risk Premium: An Options-based Approach

Alan Lewis
Wilmott
Stochastic processes and financial applications
article

The Equity Risk Premium: An Options-based Approach

Alan Lewis
article en

Abstract

Alan Lewis presents Options-Based Asset Pricing (OBAP), a framework that extracts forward-looking equity risk premia from option-implied probabilities using exponential tilt. Adapted from his new book, The Equity Risk Premium: An Options-based Approach (Lewis, 2026).

WilmottVol. 2026(146)
Openalex Percentile: Top 8%
Stochastic processes and financial applications
DOISourceOpenAlex
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The Equity Risk Premium: An Options-based Approach — Alan Lewis · Wilmott (2026) | TGRS Research Map | TGRS